Research
Every research paper we have written up, newest paper first. New arrivals are screened automatically for topical fit with systematic trading; the ones that clear it are read, written up, and — where the idea is testable on our data — backtested. Particular focus on alpha hypotheses that can be formalised and tested. The Radar also covers portfolio construction, market risk and execution where the research is directly relevant to systematic investment processes. Follow new entries by RSS.
16,915 papers screened · 588 on the radar · 1 shown
This paper examines whether a cointegration-based pairs trading strategy between PepsiCo and The Coca-Cola Company is statistically robust and economically exploitable.
PAPER REPORTS · In-sample 2018–2023, θ*=(2.15, 0.50): annualised net Sharpe 0.67, net P&L $16,941 on $100,000, 9 round-trips. · In-sample 2018–2023 excluding the COVID window: annualised net Sharpe 0.28, net P&L $5,759, 8 trades (0.20% costs).
OUR BACKTEST · Sharpe 0.11 · Return +0.2% · Max DD -1.4%